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Financial Innovation

Table 5 R-vine copula results for the full sample

From: The linkage between Bitcoin and foreign exchanges in developed and emerging markets

 

G7 basket

BRICS basket

 

Criteria

Tree structure

Criteria

Tree structure

No. of coefficients

18

R-vine

28

R-vine

Log-likelihood

1578.91

1382.93

AIC

− 3121.82

− 2709.86

BIC

− 3011.35

− 2538.02

  1. This table reports the selection criteria of the best vine decomposition for two sets of exchange rate returns. The G7 basket includes the Bitcoin and the G7 currency returns, and the BRICS basket includes the Bitcoin and the BRICS currency returns. For both G7 and BRICS baskets, the R-vine copula is the best choice. The reported log-likelihoods refer to the dependence structures excluding the marginals
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